Reduced rank regression in cointegrated models

Author:

Anderson T.W.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference9 articles.

1. Anderson, T.W., 1951. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Annals of Mathematical Statistics 22, 327–351. [Correction, Annals of Statistics 8, 1980, p. 1400.]

2. Asymptotic distribution of the reduced rank regression estimator under general conditions;Anderson;Annals of Statistics,1999

3. The asymptotic distribution of canonical correlations and variates in cointegrated models;Anderson;Proceedings of the National Academy of Sciences,2000

4. The asymptotic distribution of canonical correlations and variates in higher-order cointegrated models;Anderson;Proceedings of the National Academy of Sciences,2001

5. Anderson, T.W., 2001b. A condition for cointegration, unpublished.

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